Professor Kevin Dowd kevin.dowd@durham.ac.uk
Professor
We consider the effectiveness of an illustrative annuity hedging problem in which a forward annuity predicated on one population is hedged by a position in a forward annuity predicated on another population. Our analysis makes use of the age-period-cohort two-population gravity model that takes account of the observed interdependence between the two populations’ mortality rates; it also considers the implications of parameter uncertainty, individual death or Poisson risk, and interest-rate risk for hedge effectiveness. We consider horizons of up to 20 years. For the most part, our results are robust and indicate strong hedge effectiveness, with estimates of relative risk reduction varying from about 70% in the least effective case to well over 95% in the most effective cases.
Journal Article Type | Article |
---|---|
Acceptance Date | Jul 30, 2018 |
Online Publication Date | Nov 20, 2019 |
Publication Date | 2019 |
Deposit Date | Jan 2, 2018 |
Publicly Available Date | May 20, 2020 |
Journal | North American Actuarial Journal |
Print ISSN | 1092-0277 |
Electronic ISSN | 2325-0453 |
Publisher | Taylor and Francis Group |
Peer Reviewed | Peer Reviewed |
Volume | 25 |
Issue | sup1 |
Pages | S170-S181 |
DOI | https://doi.org/10.1080/10920277.2019.1652102 |
Public URL | https://durham-repository.worktribe.com/output/1342564 |
Accepted Journal Article
(963 Kb)
PDF
Copyright Statement
This is an Accepted Manuscript of an article published by Taylor & Francis in The North American actuarial journal on 20 November 2019 available online: http://www.tandfonline.com/10.1080/10920277.2019.1652102
Arbitrage problems with reflected geometric Brownian motion
(2023)
Journal Article
Free Banking.
(2015)
Book Chapter
New Private Monies: A Bit-Part Player?
(2014)
Report
About Durham Research Online (DRO)
Administrator e-mail: dro.admin@durham.ac.uk
This application uses the following open-source libraries:
Apache License Version 2.0 (http://www.apache.org/licenses/)
Apache License Version 2.0 (http://www.apache.org/licenses/)
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search